Conditioning on One-Step Survival for Barrier Option Simulations

Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

Pricing Multi-asset Options with an External Barrier

An external barrier of an option contract is a stochastic variable which determines whether the option is knocked in or out when the value of the variable is above or below some predetermined level, but itself is not the price of an asset which underlies the option. In this paper, we present analytic formulation for the valuation of European options on one or multiple assets with single externa...

Barrier options pricing of fractional version of the Black-Scholes ‎model‎

In this paper two different methods are presented to approximate the solution of the fractional Black-Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the appli...

The Effect of Pre-Conditioning Endurance Training on Neurogenic and Anti-Neurogenic Factor in Hippocampus of Male Rats Following Ischemic Reperfusion

Introduction: Binding of mature brain derived neurotrophic factor (BDNF) to tyrosine kinase B (TrkB) receptor leads to cell survival, while proBDNF binding to p75 receptor leads to cell death. Thus the aim of the present study was to investigate the effects of eight weeks pre-conditioning endurance training on BDNF, TrkB, proBDNF and p75 levels in the hippocampus male rats following ischemic re...

EFFBCT OF OIL ON EMBRYONIC DEVELOPMENT IN V%TRO AND ON EMBRYO SURVIVAL AFTER ONE-STEP VITRIFICATION IN CAttLE